Search Results for Collection: FMC² Research Collection

Although there is a plentiful literature on the use of evolutionary methodologies for the trading of Financial assets, little attention has been paid to the issue of efficient trade execution. Trade execution is concerned ...

Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to potential use of these methods for efficient trade execution. Trade ...

A significant problem in the area of stock selection is that of identifying the factors that affect a security’s return. While modern portfolio theory suggests a linear multi-factor model in the form of Arbitrage Pricing ...

In this paper we investigate the profitability of evolved technical trading rules when controlling for data-mining bias. For the first time in the evolutionary computation literature, a comprehensive test for a rule’s ...

Trading-rule representation is an important factor to consider when designing a quantitative trading system. This study implements a trading strategy as a rule-based policy. The result is an intuitive human-readable format ...

Designing a suitable objective function is an essential step in successfully applying an evolutionary algorithm to a problem. In this study we apply a grammar-based Genetic Programming algorithm called Grammatical Evolution ...